The parametrix method for parabolic SPDEs

DOI10.1016/J.SPA.2020.05.008MaRDI QIDQ2196545zbMATH OpenOpenAlexFDO

Authors Andrea Pascucci, Antonello Pesce

Publication date 3 September 2020

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1803.06543

zbMATH Keywords

fundamental solutionKolmogorov equationparametrix methodstochastic partial differential equations

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Abstract: We consider the Cauchy problem for a linear stochastic partial differential equation. By extending the parametrix method for PDEs whose coefficients are only measurable with respect to the time variable, we prove existence, regularity in H"older classes and estimates from above and below of the fundamental solution. This result is applied to SPDEs by means of the Ito-Wentzell formula, through a random change of variables which transforms the SPDE into a PDE with random coefficients.

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Cited in

(13)

• Parametrix methods for one-dimensional reflected SDEs
• Parabolic differential equations with unbounded coefficients -- A generalization of the parametrix method
• On stochastic Langevin and Fokker-Planck equations: the two-dimensional case
• Fundamental solutions for Kolmogorov-Fokker-Planck operators with time-depending measurable coefficients
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• On the stochastic Magnus expansion and its application to SPDEs
• A generalized parametrix method, smoothness of random fields and applications to parabolic stochastic partial differential equations
• Linear Parabolic Stochastic PDE and Wiener Chaos
• Stochastic formulations of the parametrix method
• Optimal regularity for degenerate Kolmogorov equations in non-divergence form with rough-in-time coefficients
• Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
• Backward and forward filtering under the weak Hörmander condition
• Local limit theorems and strong approximations for Robbins-Monro procedures

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